Morgan Stanley plans CMS curve range accrual notes on Russell, S&P

New York, Oct. 6 – Morgan Stanley plans to price CMS curve range accrual securities due Oct. 30, 2035 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be fixed at 9% for the first two years. After that, it will accrue at 9% for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least zero and each index closes at or above its 65% barrier level. Interest will be payable monthly.

The payout at maturity will be par unless either index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.

Morgan Stanley & Co. LLC is the agent.

The notes will price in October and settle on Oct. 30.

The Cusip number is 61760QHV9.

The estimated initial value is $851.60 plus or minus $11.60 per $1,000 principal amount.

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